Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> March rebalance ends end January. There could be three changes at the rebalance with sector balance in focus.</li>
<li>Depending on the changes, passives trackers will need to buy 2.4-22.5x ADV (10-24% of real float) on the inclusions and sell between 3.5-42.5x ADV on the deletions.</li>
<li>
<a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a> capping, <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a> increase in PAF, a big funding trade, and potentially new stocks being added in two-steps. </li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) March rebalance ends end January. There could be three changes at the rebalance with sector balance in focus.
Depending on the changes, passives trackers will need to buy 2.4-22.5x ADV (10-24% of real float) on the inclusions and sell between 3.5-42.5x ADV on the deletions.

Fast Retailing (9983 JP) capping, Nitori Holdings (9843 JP) increase in PAF, a big funding trade, and potentially new stocks being added in two-steps. 


Nikkei 225 Index Rebalance Preview (Mar 2024): Update on Ranking, Capping, Funding & Other Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/light-wonder-inc" target="_blank" data-smartkarma-citation="entities:36929:1" rel="noopener">Light &amp; Wonder (LNW US)</a>/ <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a> replaced <a href="https://www.smartkarma.com/entities/united-malt-group-ltd" target="_blank" data-smartkarma-citation="entities:29116:1" rel="noopener">United Malt Group Ltd (UMG AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> last week.</li>
<li>
<a href="https://www.smartkarma.com/entities/newcrest-mining-ltd" target="_blank" data-smartkarma-citation="entities:691:1" rel="noopener">Newcrest Mining (NCM AU)</a> stops trading this week and should be replaced by <a href="https://www.smartkarma.com/entities/newmont-mining-corp" target="_blank" data-smartkarma-citation="entities:14503:1" rel="noopener">Newmont Mining (NEM US)</a> CDIs in the ASX indices.</li>
<li>Another week of ETF outflows for China with the largest outflows from trackers benchmarked to the CSI 1000 Index.</li>
</ul>



Light &amp; Wonder (LNW US)/ Light &amp; Wonder (LNW AU) replaced United Malt Group Ltd (UMG AU) in the S&amp;P/ASX 200 (AS51 INDEX) last week.

Newcrest Mining (NCM AU) stops trading this week and should be replaced by Newmont Mining (NEM US) CDIs in the ASX indices.
Another week of ETF outflows for China with the largest outflows from trackers benchmarked to the CSI 1000 Index.


Index Rebalance & ETF Flow Recap: NKY, ASX, Liontown, J&T Express, JP/IN Positioning, IndusInd Bank

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> March rebalance ends end January. There could be three changes at the rebalance with sector balance in focus.</li>
<li>Depending on the changes, passive trackers will need to buy between 6-28x ADV (11-50% of real float) on the inclusions and sell between 2.8-44x ADV on the deletions.</li>
<li>
<a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a> could be capped at 11% of the index weight and there will be buying in <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a> due to the stepwise addition.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) March rebalance ends end January. There could be three changes at the rebalance with sector balance in focus.
Depending on the changes, passive trackers will need to buy between 6-28x ADV (11-50% of real float) on the inclusions and sell between 2.8-44x ADV on the deletions.

Fast Retailing (9983 JP) could be capped at 11% of the index weight and there will be buying in Nitori Holdings (9843 JP) due to the stepwise addition.


Nikkei 225 Index Rebalance Preview (Mar 2024): Ranking, Capping, Funding & Other Changes

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

<ul>
<li>
<a href="https://www.smartkarma.com/entities/seiko-pmc-corp" target="_blank" data-smartkarma-citation="entities:13752:1" rel="noopener">Seiko Pmc Corp (4963 JP)</a> has recommended <a href="https://www.smartkarma.com/entities/carlyle-group-inc-the" target="_blank" data-smartkarma-citation="entities:33402:1" rel="noopener">Carlyle Group / (CG US)</a>’s tender offer of JPY1,070 per share, an 88.7% premium to the undisturbed price.</li>
<li>
<a href="https://www.smartkarma.com/entities/dic-corp" target="_blank" data-smartkarma-citation="entities:7343:1" rel="noopener">Dic Corp (4631 JP)</a> will not tender but vote for the share consolidation at the EGM. Post consolidation, DIC will sell its 54.51% stake to Carlyle at JPY799 per share.</li>
<li>Achieving the minimum ownership ratio (12.16%) requires a 26.7% acceptance rate, which is doable as the offer is attractive. The tender offer runs from 4 September to 17 October. </li>
</ul>



Seiko Pmc Corp (4963 JP) has recommended Carlyle Group / (CG US)’s tender offer of JPY1,070 per share, an 88.7% premium to the undisturbed price.

Dic Corp (4631 JP) will not tender but vote for the share consolidation at the EGM. Post consolidation, DIC will sell its 54.51% stake to Carlyle at JPY799 per share.
Achieving the minimum ownership ratio (12.16%) requires a 26.7% acceptance rate, which is doable as the offer is attractive. The tender offer runs from 4 September to 17 October. 


Seiko PMC (4963 JP): Carlyle's JPY1,070 Tender Offer

'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Thematic (Sector/Industry)

<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/139/255/original/2020-06-11_08-36-54.png?1591832240" class="editor-image img-responsive" data-smartkarma-image-id="139255"></figure><div class="content-caption">Source: Japan Analytics</div>STRESS TESTS - This Insight is the first in a series that will use a variety of standard and less-frequently used 'stress-tests' to look through the current euphoria and assess where business risk is concentrated among larger Japanese companies. According to Tokyo Shoko Research, 171 listed Japanese firms have raised nearly ¥10 trillion in new funds to weather COVID-19.ALTMAN Z-SCORES - The first Insight will update our earlier Who's<a href="https://www.smartkarma.com/insights/japan-who-s-swimming-naked-part-2-altman-z-score" target="_blank" data-smartkarma-citation="insights:37316" rel="noopener"> Swimming Naked?</a> Insight and focus on the Altman Z-Score as updated for the most recent quarterly results for both manufacturing and non-manufacturing companies.  In each category, ee will look at both the companies that are below Altman's 'distress' levels and those companies that have the most significant negative deviation from their seven-year average score. Only six of the bottom-thirty manufacturing and five of the bottom-thirty manufacturing companies have outperformed over one year. Many are already Oversold and offer potential value opportunities -as with <a href="https://www.smartkarma.com/entities/nissan-motor-co-ltd" target="_blank" data-smartkarma-citation="entities:72:1" rel="noopener">Nissan Motor (7201 JP)</a> which is now as distressed as when Carlos Ghosn first arrived.  QUASI-FINANCIAL FIRMS - The Z-Score methodology does not work for financial firms. Accordingly, five non-financial companies which have significant financial subsidiaries -  <a href="https://www.smartkarma.com/entities/rakuten-inc" target="_blank" data-smartkarma-citation="entities:31:1" rel="noopener">Rakuten (4755 JP)</a>, <a href="https://www.smartkarma.com/entities/z-holdings-corp" target="_blank" data-smartkarma-citation="entities:19603:1" rel="noopener">Z Holdings (4689 JP)</a>, <a href="https://www.smartkarma.com/entities/japan-post-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:359:1" rel="noopener">Japan Post (6178 JP)</a>, <a href="https://www.smartkarma.com/entities/softbank-group-corp" target="_blank" data-smartkarma-citation="entities:315:1" rel="noopener">Softbank Group (9984 JP)</a> and <a href="https://www.smartkarma.com/entities/sony-corp" target="_blank" data-smartkarma-citation="entities:563:1" rel="noopener">Sony (6758 JP)</a>- have been excluded from this analysis.

Source: Japan AnalyticsSTRESS TESTS - This Insight is the first in a series that will use a variety of standard and less-frequently used 'stress-tests' to look through the current euphoria and assess where business risk is concentrated among larger Japanese companies. According to Tokyo Shoko Research, 171 listed Japanese firms have raised nearly ¥10 trillion in new funds to weather COVID-19.ALTMAN Z-SCORES - The first Insight will update our earlier Who's Swimming Naked? Insight and focus on the Altman Z-Score as updated for the most recent quarterly results for both manufacturing and non-manufacturing companies.  In each category, ee will look at both the companies that are below Altman's 'distress' levels and those companies that have the most significant negative deviation from their seven-year average score. Only six of the bottom-thirty manufacturing and five of the bottom-thirty manufacturing companies have outperformed over one year. Many are already Oversold and offer potential value opportunities -as with Nissan Motor (7201 JP) which is now as distressed as when Carlos Ghosn first arrived.  QUASI-FINANCIAL FIRMS - The Z-Score methodology does not work for financial firms. Accordingly, five non-financial companies which have significant financial subsidiaries -  Rakuten (4755 JP), Z Holdings (4689 JP), Japan Post (6178 JP), Softbank Group (9984 JP) and Sony (6758 JP)- have been excluded from this analysis. 

🇯🇵 JAPAN - Stress Tests Part 1 - Altman Z-Scores

Japan

DAIKEN CORPORATION manufactures mineral and wooden fiberboards.  The Company also makes special plywood for ships, rolling stock, and musical instruments. Daiken operates engineering services and real estate business.

Daio Paper Corporation is a paper, pulp, and paperboard manufacturer.  The Company produces general printing paper for magazines and catalogues, newsprint, office paper, corrugated materials, kraft liner, facial and toilet tissue, paper towels, and feminine hygiene products.  Daio Paper also produces adhesive papers.  The Company has operations in Japan, the United States, and Chile.

Tokushu Tokai Paper Co.,Ltd. is a holding company, which was established through reorganization.  The Group companies manufactures paperboards, specialty papers, and miscellaneous papers for industrial use.

Mitsubishi Paper Mills Limited manufactures and distributes pulp and a variety of paper products.  The Company's products include photographic paper, printing paper, and special purpose paper.

Hokuetsu Corporation is a paper and pulp products producer. The Company produces pulp, printing paper, specialty paper, fiber sheets, paperboard, coatedpaper, and lumber.  Hokuetsu Kishu Paper has an Elemental Chlorine Free bleaching facility for more environmentally friendly processing.

Chuetsu Pulp & Paper Co., Ltd. is a pulp and paper manufacturer.  The Company produces pulp, general paper, kraft wrapping paper, paperboard, and newsprint. Chuetsu Pulp & Paper also makes specialty paper, such as water and oil repellent paper.

WOOD ONE CO., LTD. mainly manufactures and sells secondary processed plywoods for floorings and fixtures.  The Company specializes in long floorings and lumber materials used in stairs, doors, and cabinets.  WOOD ONE has a subsidiary which operates forestation management in New Zealand.

AWA Paper Mfg. Co., Ltd. is a pulp and paper manufacturer. The Company produces filter paper for conditioner filter, bio-degradable paper, and glass fiber paper for construction. Awa Paper also makes specialty paper, such as high-performance paper for industrial use.

NANKAI PLYWOOD CO., LTD. is a wood-processing company.  The Company's main products are Japanese-style room ceilings & floors and storage compartments. Nankai imports lumber from South-eastern Asia and produces plywood.

OSAKA STEEL CO., LTD. is an Osaka based electric furnace steelmaker.  The Company is affiliated with Nippon Steel.  Osaka Steel makes shaped steel, nets, and other processed wire-rod products.

Guangdong Guanhao High-Tech Co., Ltd. manufactures and sells thermal paper, carbon free duplicate paper, and gelatin capsules. The Company also manufactures products such as printer paper, scientific instrumental log paper, and fax paper.

Guangdong Guanhao High Tech Co (600433 CH)

Clearwater Paper Corp. manufactures consumer tissue, bleached paperboard, and wood products.  The Company supplies private label tissue to major retail grocery chains and produces bleached paperboard that is used by printers and packaging converters.

Yueyang Forest & Paper Co Ltd manufactures and markets a variety of paper products which include offset newsprint, pigment finishing offset paper, and paper pulp.

Shandong Bohui Paper Industrial Co., Ltd. manufactures and markets a variety of paper products. The Company's products include stationery paper, offset printing paper, and paperboard.

Qifeng New Material Co., Ltd. researches and develops, manufactures and sells decorative base paper. The Company's products include plain decorative base paper, printable decorative base paper, wear-resistant base paper and equilibrium base paper.

Shandong Huatai Paper Co., Ltd. manufactures and sells paper products, including writing paper, bathroom and facial tissue, paper towels, and folding cartons. The Company also manufactures chemicals, including alkalies, chlorine, and chloropropene.

Jilin Forest Industry Co., Ltd. manufactures and markets a variety of forest products.  The Company's products include timber, veneer, impregnated paper, silvi chemicals, and other related products.  The Company also imports timber products and manufactures nutritional products.

Chung Hwa Pulp Corporation manufactures pulp and paper.  The Company produces bleached hardwood sulphate kraft pulp, bleached softwood sulphate kraft pulp, woodfree paper, and coated paper.

Shandong Chenming Paper Holdings Ltd. manufactures and sells paper products. The Company's products include machine-made paper, paperboard, and paper raw materials.  Shandong Chenming also manufactures papermaking machinery, supplies electricity and heat, as well as sells constructional materials.

Interfor Corporation harvests timber and manufactures and markets lumber products, logs, and wood chips.  The Company has logging operations and sawmills in Western Canada.

Nippon Paper Industries Co. Ltd. manufactures and sells paper and pulp products.  The Company also manages wood building material business, logistic service, and leisure industry.

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Nippon Paper Industries Co L (3863 JP)

Nikkei 225 Index Rebalance Preview (Mar 2024): Update on Ranking, Capping, Funding & Other Changes

There could be 3 changes at the March rebal. Socionext moves up the add list following the stock split. Fast Retailing is back above 11% index...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, Liontown, J&T Express, JP/IN Positioning, IndusInd Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Nikkei 225 Index Rebalance Preview (Mar 2024): Ranking, Capping, Funding & Other Changes

There could be 3 changes in March + Fast Retailing capping. Stepwise inclusion of Nitori too. Socionext could be an add if it splits its stock. As...

Brian Freitas

Seiko PMC (4963 JP): Carlyle's JPY1,070 Tender Offer

Achieving the minimum ownership ratio (12.16%) requires a 26.7% acceptance rate, which is doable as the offer is attractive. The tender offer runs...

Arun George

🇯🇵 JAPAN - Stress Tests Part 1 - Altman Z-Scores

STRESS TESTS - This Insight is the first in a series that will use a variety of standard and less-frequently used 'stress-tests' to look through...

Campbell Gunn

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